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Decisions in Economics and Finance

1978 - 2022

Current editor(s): Paolo Ghirardato

Associazione per la Matematica
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Volume 45, issue 2, 2022

Dangerous tangents: an application of $$\Gamma $$ Γ -convergence to the control of dynamical systems pp. 451-480 Downloads
Rosario Maggistro, Paolo Pellizzari, Elena Sartori and Marco Tolotti
Equalizing solutions for bankruptcy problems revisited pp. 481-502 Downloads
José Alcalde and Josep E. Peris
Optimality and duality in nonsmooth semi-infinite optimization, using a weak constraint qualification pp. 503-519 Downloads
David Barilla, Giuseppe Caristi and Nader Kanzi
The robustness of the generalized Gini index pp. 521-539 Downloads
S. Settepanella, A. Terni, M. Franciosi and L. Li
Two representations of information structures and their comparisons pp. 541-547 Downloads
Jerry R. Green and Nancy L. Stokey
Introduction to the Milestones series pp. 549-549 Downloads
Marco LiCalzi
Bipartite choices pp. 551-568 Downloads
Marco LiCalzi

Volume 45, issue 1, 2022

Calibration to FX triangles of the 4/2 model under the benchmark approach pp. 1-34 Downloads
Alessandro Gnoatto, Martino Grasselli and Eckhard Platen
Monetary risk measures for stochastic processes via Orlicz duality pp. 35-56 Downloads
Christos E. Kountzakis and Damiano Rossello
Option pricing: a yet simpler approach pp. 57-81 Downloads
Jarno Talponen and Minna Turunen
Complex dynamics in the market for loans pp. 83-99 Downloads
Nivedita Mukherji
Expressions of forward starting option price in Hull–White stochastic volatility model pp. 101-135 Downloads
Hiroaki Hata, Nien-Lin Liu and Kazuhiro Yasuda
Bias-optimal vol-of-vol estimation: the role of window overlapping pp. 137-185 Downloads
Giacomo Toscano and Maria Cristina Recchioni
Portfolio choice in the model of expected utility with a safety-first component pp. 187-207 Downloads
Dennis W. Jansen and Liqun Liu
A new class of multidimensional Wishart-based hybrid models pp. 209-239 Downloads
Gaetano La Bua and Daniele Marazzina
Production and hedging under correlated price and background risks pp. 241-256 Downloads
Kit Pong Wong
Long versus short time scales: the rough dilemma and beyond pp. 257-278 Downloads
Matthieu Garcin and Martino Grasselli
Beating the market? A mathematical puzzle for market efficiency pp. 279-325 Downloads
Michael Heinrich Baumann
Grey Verhulst model and its chaotic behaviour with application to Bitcoin adoption pp. 327-341 Downloads
P. Gatabazi, J. C. Mba and E. Pindza
Performance measurement with expectiles pp. 343-374 Downloads
Damiano Rossello
Ramsey rule with forward/backward utility for long-term yield curves modeling pp. 375-414 Downloads
Nicole El Karoui, Caroline Hillairet and Mohamed Mrad
A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders pp. 415-446 Downloads
Paolo Angelis, Roberto Marchis, Antonio L. Martire and Emilio Russo
Correction to: Semi-analytical prices for lookback and barrier options under the Heston model pp. 447-449 Downloads
Luca Gennaro Aquino and Carole Bernard

Volume 44, issue 2, 2021

Nonlinear dynamics in economic modelling pp. 485-487 Downloads
Laura Gardini, Fabio Lamantia, Davide Radi, Ferenc Szidarovszky and Fabio Tramontana
CSR leadership, spillovers, and first-mover advantage pp. 489-505 Downloads
Michael Kopel
A note on symmetry breaking in a non linear marketing model pp. 507-531 Downloads
Andrea Caravaggio, Lorenzo Cerboni Baiardi and Mauro Sodini
Delay dynamics in nonlinear monopoly with gradient adjustment pp. 533-557 Downloads
Akio Matsumoto and Ferenc Szidarovszky
Hybrid dynamics of multi-species resource exploitation pp. 559-577 Downloads
Davide Radi, Fabio Lamantia and Tomáš Tichý
Learning in a double-phase cobweb model pp. 579-611 Downloads
Fausto Cavalli, Ahmad Naimzada and Lucia Parisio
Dynamics of a business cycle model with two types of governmental expenditures: the role of border collision bifurcations pp. 613-639 Downloads
Mauro Gallegati, Laura Gardini and Iryna Sushko
Speculative asset price dynamics and wealth taxes pp. 641-667 Downloads
Sarah Mignot, Fabio Tramontana and Frank Westerhoff
A revised version of the Cathcart & El-Jahel model and its application to CDS market pp. 669-705 Downloads
Davide Radi, Vu Phuong Hoang, Gabriele Torri and Hana Dvořáčková
Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach pp. 707-726 Downloads
Giovanni Campisi, Silvia Muzzioli and Fabio Tramontana
Cross-section instability in financial markets: impatience, extrapolation, and switching pp. 727-754 Downloads
Roberto Dieci and Xuezhong (Tony) He
Envy effects on conflict dynamics in supervised work groups pp. 755-779 Downloads
Arianna Dal Forno and Ugo Merlone
Blockchain and cryptocurrencies: economic and financial research pp. 781-787 Downloads
Alessandra Cretarola, Gianna Figà-Talamanca and Cyril Grunspan
Can fiat currencies really hedge Bitcoin? Evidence from dynamic short-term perspective pp. 789-816 Downloads
Jihed Majdoub, Salim Ben Sassi and Azza Bejaoui
Investigating the relationship between volatilities of cryptocurrencies and other financial assets pp. 817-843 Downloads
Achraf Ghorbel and Ahmed Jeribi
Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies pp. 845-861 Downloads
Nikolaos A. Kyriazis
Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages pp. 863-882 Downloads
Gianna Figá-Talamanca, Sergio Focardi and Marco Patacca
Betting on bitcoin: a profitable trading between directional and shielding strategies pp. 883-903 Downloads
Paolo Angelis, Roberto Marchis, Mario Marino, Antonio Luciano Martire and Immacolata Oliva
Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume pp. 905-940 Downloads
Nino Antulov-Fantulin, Tian Guo and Fabrizio Lillo
Complexity traits and synchrony of cryptocurrencies price dynamics pp. 941-955 Downloads
Davide Provenzano and Rodolfo Baggio
Cross-listings of blockchain-based tokens issued through initial coin offerings: Do liquidity and specific cryptocurrency exchanges matter? pp. 957-980 Downloads
Lennart Ante and André Meyer
The rise and fall of cryptocurrency coins and tokens pp. 981-1014 Downloads
Neil Gandal, J. T. Hamrick, Tyler Moore and Marie Vasek
Introduction to Special Issue on Energy Finance pp. 1015-1020 Downloads
Loretta Mastroeni and Ralf Wunderlich
A deep learning model for gas storage optimization pp. 1021-1037 Downloads
Nicolas Curin, Michael Kettler, Xi Kleisinger-Yu, Vlatka Komaric, Thomas Krabichler, Josef Teichmann and Hanna Wutte
Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis pp. 1039-1062 Downloads
Carlo Mari and Emiliano Mari
A machine learning-based price state prediction model for agricultural commodities using external factors pp. 1063-1085 Downloads
Prilly Oktoviany, Robert Knobloch and Ralf Korn
Fundamental ratios as predictors of ESG scores: a machine learning approach pp. 1087-1110 Downloads
Valeria D’Amato, Rita D’Ecclesia and Susanna Levantesi
The impact of Clean Spark Spread expectations on storage hydropower generation pp. 1111-1146 Downloads
Claudia Condemi, Loretta Mastroeni and Pierluigi Vellucci
Optimal switch from a fossil-fueled to an electric vehicle pp. 1147-1178 Downloads
Paolo Falbo, Giorgio Ferrari, Giorgio Rizzini and Maren Diane Schmeck
Optimal installation of renewable electricity sources: the case of Italy pp. 1179-1209 Downloads
Almendra Awerkin and Tiziano Vargiolu
Responsible investments reduce market risks pp. 1211-1233 Downloads
Giacomo Morelli and Rita D’Ecclesia
A new approach to wind power futures pricing pp. 1235-1252 Downloads
Markus Hess
Correlating Lévy processes with self-decomposability: applications to energy markets pp. 1253-1280 Downloads
Matteo Gardini, Piergiacomo Sabino and Emanuela Sasso

Volume 44, issue 1, 2021

Introduction to Special Issue on “Innovating Actuarial Research on Financial Risk and Enterprise Risk Management” pp. 1-4 Downloads
Marcello Galeotti
An application of Sigmoid and Double-Sigmoid functions for dynamic policyholder behaviour pp. 5-22 Downloads
Fabio Baione, Davide Biancalana and Paolo Angelis
Reverse mortgages through artificial intelligence: new opportunities for the actuaries pp. 23-35 Downloads
Emilia Lorenzo, Gabriella Piscopo, Marilena Sibillo and Roberto Tizzano
Modelling dynamic lapse with survival analysis and machine learning in CPI pp. 37-56 Downloads
Marco Aleandri and Alessia Eletti
Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate pp. 57-72 Downloads
Ludovic Goudenège, Andrea Molent and Antonino Zanette
Challenges in approximating the Black and Scholes call formula with hyperbolic tangents pp. 73-100 Downloads
Michele Mininni, Giuseppe Orlando and Giovanni Taglialatela
Longevity risk and economic growth in sub-populations: evidence from Italy pp. 101-115 Downloads
Giuseppina Bozzo, Susanna Levantesi and Massimiliano Menzietti
Heterogeneity and uncertainty in a multistate framework pp. 117-139 Downloads
D. Tabakova and E. Pitacco
On the determinants of data breaches: A cointegration analysis pp. 141-160 Downloads
Domenico Giovanni, Arturo Leccadito and Marco Pirra
Optimal annuitisation in a deterministic financial environment pp. 161-175 Downloads
Griselda Deelstra, Pierre Devolder and Roberta Melis
Climate change management: a resilience strategy for flood risk using Blockchain tools pp. 177-190 Downloads
Emanuele Vannucci, Andrea Jonathan Pagano and Francesco Romagnoli
Asian options with zero cost-of-carry: EEX options on freight and iron ore futures pp. 191-195 Downloads
Espen Gaarder Haug
Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate pp. 197-214 Downloads
Tahereh Khodamoradi, Maziar Salahi and Ali Reza Najafi
Managing liquidity with portfolio staleness pp. 215-239 Downloads
Giuseppe Buccheri, Davide Pirino and Luca Trapin
Pricing basket default swaps using quasi-analytic techniques pp. 241-267 Downloads
Nneka Umeorah, Phillip Mashele and Matthias Ehrhardt
Portfolio optimization under solvency II: a multi-objective approach incorporating market views and real-world constraints pp. 269-294 Downloads
Marco Di Francesco
MURAME parameter setting for creditworthiness evaluation: data-driven optimization pp. 295-339 Downloads
Marco Corazza, Giovanni Fasano, Stefania Funari and Riccardo Gusso
Delay two-sector economic growth model with a Cobb–Douglas production function pp. 341-358 Downloads
Akio Matsumoto and Ferenc Szidarovszky
Wage bargaining as an optimal control problem: a dynamic version of the efficient bargaining model pp. 359-374 Downloads
Marco Guerrazzi
Nonlinear optimal control of coupled time-delayed models of economic growth pp. 375-399 Downloads
G. Rigatos, P. Siano, M. Abbaszadeh and Taniya Ghosh
Stochastic dominance efficient sets and stochastic spanning pp. 401-409 Downloads
Stelios Arvanitis
Breaking ties in collective decision-making pp. 411-457 Downloads
Daniela Bubboloni and Michele Gori
Non-compliant behaviour in public procurement: an evolutionary model with endogenous monitoring pp. 459-483 Downloads
Raffaella Coppier, Francesca Grassetti and Elisabetta Michetti
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